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In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is…
This paper is devoted to solving a time-inconsistent risk-sensitive control problem with parameter $\e$ and its limit case ($\e\rightarrow0^+$) for countable-stated Markov decision processes (MDPs for short). Since the cost functional is…
The purpose of this paper is to provide a detailed probabilistic analysis of the optimal control of nonlinear stochastic dynamical systems of the McKean Vlasov type. Motivated by the recent interest in mean field games, we highlight the…
S. J. van Enk and R. Pike in PRA 66, 024306 (2002) argue that the equilibrium solution to a quantum game isn't unique but is already present in the classical game itself. In this work, we contest this assertion by showing that a random…
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This construction, while allowing time and risk attitudes to be separated,…
We study a subclass of $n$-player stochastic games, namely, stochastic games with independent chains and unknown transition matrices. In this class of games, players control their own internal Markov chains whose transitions do not depend…
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…
We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced to the market and priced in an equilibrium framework by…
We show that, by using multiplicative weights in a game-theoretic thought experiment (and an important convexity result on the composition of multiplicative weights with the relative entropy function), a symmetric bimatrix game (that is, a…
We study how transaction cost affects to the equilibrium return and optimal stock holdings in equilibrium. To this end, we develop a continuous-time risk-sharing model where heterogenous agents trade toward terminal target holdings subject…
We show that computing approximate stationary Markov coarse correlated equilibria (CCE) in general-sum stochastic games is computationally intractable, even when there are two players, the game is turn-based, the discount factor is an…
This paper focuses on a class of continuous-time controlled Markov chains with time-inconsistent and distribution-dependent cost functional (in some appropriate sense). A new definition of time-inconsistent distribution-dependent…
We address the problem of mechanism design for two-stage repeated stochastic games -- a novel setting using which many emerging problems in next-generation electricity markets can be readily modeled. Repeated playing affords the players a…
This paper is devoted to a Stackelberg stochastic differential game for a linear mean-field type stochastic differential system with a mean-field type quadratic cost functional in finite horizon. The coefficients in the state equation and…
In this paper, we investigate a moral hazard problem in finite time with lump$-$sum and continuous payments, involving infinitely many Agents with mean field type interactions, hired by one Principal. By reinterpreting the mean$-$field game…
One practical requirement in solving dynamic games is to ensure that the players play well from any decision point onward. To satisfy this requirement, existing efforts focus on equilibrium refinement, but the scalability and applicability…
In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic optimal control problem. This notion is called the mixed equilibrium solution, which consists of two parts: a…
This paper studies a class of non$-$Markovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem is proved to identify with the solution of a $Z-$constrained…
Zero-sum stochastic games have found important applications in a variety of fields, from machine learning to economics. Work on this model has primarily focused on the computation of Nash equilibrium due to its effectiveness in solving…
This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…